Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0819 |
| Annualized Std Dev | 0.2114 |
| Annualized Sharpe (Rf=0%) | 0.3875 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3288.0000 |
| NAs | 1.0000 |
| Minimum | -0.1055 |
| Quartile 1 | -0.0043 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0060 |
| Maximum | 0.1040 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0002 |
| Stdev | 0.0133 |
| Skewness | -0.3346 |
| Kurtosis | 10.2275 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0098 |
| Gain Deviation | 0.0095 |
| Loss Deviation | 0.0111 |
| Downside Deviation (MAR=210%) | 0.0142 |
| Downside Deviation (Rf=0%) | 0.0096 |
| Downside Deviation (0%) | 0.0096 |
| Maximum Drawdown | 0.5530 |
| Historical VaR (95%) | -0.0203 |
| Historical ES (95%) | -0.0337 |
| Modified VaR (95%) | -0.0200 |
| Modified ES (95%) | -0.0358 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-05-16 | 2009-03-09 | 2012-03-15 | -0.5530 | 966 | 204 | 762 |
| 2020-02-13 | 2020-03-23 | 2020-11-13 | -0.3652 | 192 | 27 | 165 |
| 2018-01-29 | 2018-12-24 | 2019-10-28 | -0.2009 | 441 | 229 | 212 |
| 2015-05-22 | 2016-02-11 | 2016-08-15 | -0.1654 | 311 | 183 | 128 |
| 2012-03-27 | 2012-06-04 | 2012-09-06 | -0.1066 | 114 | 48 | 66 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2008 | NA | -2.7 | 2.9 | 1.2 | 0.1 | -0.4 | -1 | -1 | -5.1 | 2.9 | -8.7 | 1.6 | -10.3 |
| 2009 | -3.2 | -2.9 | 2.4 | 1.1 | 3.1 | 0.2 | 1 | -2.5 | -2.3 | -2.4 | 1.2 | -0.7 | -5.2 |
| 2010 | 1 | 0.9 | 0.8 | -1.7 | -2.6 | -0.2 | 0.1 | 3.1 | 0.6 | -0.1 | 2.1 | -0.1 | 3.9 |
| 2011 | 1.6 | -1.6 | 0.6 | 0.3 | -2.5 | 1.3 | -0.7 | -1 | -1.6 | -3.1 | 0 | -0.2 | -6.8 |
| 2012 | 1.4 | 0.6 | 0.4 | 0.9 | -2.3 | 2.2 | -0.1 | 0.4 | 0.3 | 0.9 | 0.4 | 1.5 | 6.8 |
| 2013 | 1 | 0.2 | -0.4 | -1 | -1.7 | 0.6 | 1.3 | -0.6 | 0.5 | 0.4 | -0.2 | 0.6 | 0.7 |
| 2014 | -0.7 | 0.3 | 0.7 | -0.3 | 0.2 | 0.6 | -0.2 | 0.2 | -1.3 | 1.2 | -0.4 | -1 | -0.7 |
| 2015 | -1.2 | -0.1 | -0.7 | 1.1 | 0.1 | 0.5 | -0.4 | -2.8 | -0.2 | -0.4 | 1 | -0.7 | -4 |
| 2016 | 0.2 | 2.1 | 0.4 | -0.9 | 0.2 | 0.3 | -0.4 | -0.1 | 1 | -0.8 | 0.3 | -0.7 | 1.5 |
| 2017 | -0.1 | 1.2 | -0.2 | 0 | 1 | 0.2 | 0.2 | 0.5 | 0.3 | 0.2 | -0.3 | -0.4 | 2.7 |
| 2018 | 0 | -1.3 | 1.1 | -0.4 | 0.8 | 0 | -0.6 | 0 | 0.4 | 1.1 | 0.4 | 0.9 | 2.3 |
| 2019 | -0.2 | 0.3 | 1.3 | -0.7 | -1.4 | 0.6 | -1.3 | 0.2 | -1.3 | 1.3 | -0.3 | 0.3 | -1.3 |
| 2020 | -1.9 | -1.4 | -4.2 | -3.1 | 0.6 | -0.3 | -0.1 | 0.5 | 0.2 | -0.3 | 0.9 | 0.5 | -8.4 |
| 2021 | 0.8 | 2.1 | 0 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.9 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2008-02-22 24.7 SPY 136. 0.0062 0.0033 0.0131 -0.0624 -0.0703 0.126 0.608 GLD 93.4 0.0015 0.041
2 2008-02-25 25.2 SPY 137. 0.0126 0.0162 0.0173 -0.0307 -0.0549 0.158 0.612 GLD 92.7 -0.007 0.0403
3 2008-02-26 25.6 SPY 138. 0.0075 0.021 0.04 -0.04 -0.0469 0.158 0.651 GLD 93.7 0.0105 0.0233
4 2008-02-28 25.4 SPY 137. -0.0098 0.0154 0.0071 -0.04 -0.0288 0.127 0.644 GLD 96.0 0.0128 0.0294
5 2008-02-29 24.7 SPY 134. -0.0223 -0.0133 -0.0081 -0.0905 -0.0476 0.109 0.587 GLD 96.2 0.002 0.0299
6 2008-03-03 24.5 SPY 134. -0.00240 -0.0279 -0.0282 -0.0929 -0.0373 0.101 0.572 GLD 97.2 0.011 0.0485
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
